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add chapter 14

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Bogumił Kamiński
2022-03-14 00:12:33 +01:00
parent 34e80b2cba
commit b5e90546e6
5 changed files with 211 additions and 88 deletions
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15
ch14_server.jl
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@@ -2,22 +2,25 @@ using Genie
using Statistics
using ThreadsX
function v_asian_sample(T, X0, K, r, s, m)::Float64
function payoff_asian_sample(T, X0, K, r, s, m)::Float64
X = X0
sumX = X
d = T / m
for i in 1:m
X *= exp((r-s^2/2)*d + s*sqrt(d)*randn())
X *= exp((r - s^2 / 2) * d + s * sqrt(d) * randn())
sumX += X
end
return exp(-r*T) * max(sumX / (m + 1) - K, 0)
Y = sumX / (m + 1)
return exp(-r * T) * max(Y - K, 0)
end
function v_asian_value(T, X0, K, r, s, m, max_time)
function asian_value(T, X0, K, r, s, m, max_time)
result = Float64[]
start_time = time()
while time() - start_time < max_time
append!(result, ThreadsX.map(_ -> v_asian_sample(T, X0, K, r, s, m), 1:10_000))
append!(result,
ThreadsX.map(_ -> payoff_asian_sample(T, X0, K, r, s, m),
1:10_000))
end
n = length(result)
mv = mean(result)
@@ -35,7 +38,7 @@ Genie.Router.route("/", method=POST) do
return try
K = float(message["K"])
max_time = float(message["max_time"])
value = v_asian_value(1.0, 50.0, K, 0.05, 0.3, 200, max_time)
value = asian_value(1.0, 50.0, K, 0.05, 0.3, 200, max_time)
Genie.Renderer.Json.json((status="OK", value=value))
catch
Genie.Renderer.Json.json((status="ERROR", value=""))